Measuring Financial Cycles: Empirical Evidence for Germany, United Kingdom and United States of America
Tiago Mota Dutra, José Carlos Dias, João Teixeira
International Review Of Economics And Finance, vol. 79, 2022, p. 599-630.
A Note on Options and Bubbles under the CEV Model: Implications for Pricing and Hedging
José Carlos Dias, João Pedro Vidal Nunes, Aricson Cruz
Review Of Derivatives Research, vol. 23, 2020, p. 249-272.
Pricing Double Barrier Options on Homogeneous Diffusions: A Neumann Series of Bessel Functions Representation
Igor V. Kravchenko, Vladislav V. Kravchenko, Sergii M. Torba, José Carlos Dias
International Journal Of Theoretical And Applied Finance, vol. 22, 2019, p. 1-24.
Pricing and Static Hedging of American-Style Knock-In Options on Defaultable Stocks
João Pedro Vidal Nunes, João Pedro Ruas, José Carlos Dias
Journal of Banking and Finance, vol. 58, 2015, p. 343-360.
Pricing and Static Hedging of European-Style Double Barrier Options under the Jump to Default Extended CEV Model
José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas
Quantitative Finance, vol. 15, 2015, p. 1995-2010.
Pricing and Static Hedging of American-Style Options under the Jump to Default Extended CEV Model
João Pedro Vidal Nunes, José Carlos Dias, João Pedro Ruas
Journal of Banking and Finance, vol. 37, 2013, p. 4059-4072.